public Order[] GetNextActions(LimitOrderBookSnapshot limitOrderBook)
{
var order = base.GetNextAction(limitOrderBook);
var orders = new List<Order>();
if (order != null)
{
if (_lastOrder != null)
{
//cancel previous
var cancelOrder = new Order();
cancelOrder.Type = OrderType.Cancel;
cancelOrder.ID = _lastOrder.ID;
orders.Add(cancelOrder);
}
orders.Add(order);
_lastOrder = order;
}
return orders.ToArray();
}
public virtual Order GetNextAction(LimitOrderBookSnapshot limitOrderBook)
{
var size = Math.Ceiling(_maxOrderSize * _rng.GetRandomDouble());
var priceDiff = _maxPriceDifferential * Math.Abs(_normal.Sample());
Order order;
var randomNumber = _rng.GetRandomDouble();
if (randomNumber > (0.5 + (_doNothingProbability/2)))
{
//buylimitorder
var price = Math.Round(limitOrderBook.BestAskPrice.Value - priceDiff, _decimals);
order = new Order { Price = price, Quantity = size, Side = OrderSide.Buy,Type = OrderType.LimitOrder, Valid = true};
}
else if (randomNumber < (0.5 - (_doNothingProbability/2)))
{
//selllimitorder
var price = Math.Round(limitOrderBook.BestBidPrice.Value + priceDiff, _decimals);
order = new Order { Price = price, Quantity = size, Side = OrderSide.Sell, Type = OrderType.LimitOrder, Valid = true };
}
else
{
//donothing
order = null;
}
return order;
}
// [TestMethod]
public void GetPriceDistribution()
{
var lob = new LimitOrderBookSnapshot();
lob.BestAskPrice = 101;
lob.BestBidPrice = 99;
var buyPrices = new SortedDictionary<double, int>();
var sellPrices = new SortedDictionary<double, int>();
var agent = new RandomLiquidityMaker(new CSharpRandomNumberGenerator(), 100, 10, 0, new Normal(0,0.2),2);
for (int i = 0; i < 100000000; i++)
{
var order = agent.GetNextAction(lob);
if (order.Side == OrderSide.Buy)
{
if (!buyPrices.ContainsKey(order.Price))
{
buyPrices.Add(order.Price, 0);
}
buyPrices[order.Price]++;
}
else
{
if (!sellPrices.ContainsKey(order.Price))
{
sellPrices.Add(order.Price, 0);
}
sellPrices[order.Price]++;
}
}
var lines = new List<string>();
foreach (var price in buyPrices)
{
lines.Add(string.Format("{0},{1}", price.Key, price.Value));
}
foreach (var price in sellPrices)
{
lines.Add(string.Format("{0},{1}", price.Key, price.Value));
}
File.WriteAllLines(@"c:\temp\test.csv", lines);
}
public Order GetNextAction(LimitOrderBookSnapshot limitOrderBook)
{
Order order;
var size = Math.Ceiling(_maxOrderSize * _rng.GetRandomDouble());
var randomNumber = _rng.GetRandomDouble();
if (randomNumber < (0.5 - (_doNothingProbability / 2)))
{
//buymarketdorder
order = new Order() {Quantity = size,Type = OrderType.MarketOrder, Side = OrderSide.Buy };
}
else if (randomNumber > (0.5 + (_doNothingProbability / 2)))
{
order = new Order() { Quantity = size, Type = OrderType.MarketOrder, Side = OrderSide.Sell };
}
else
{
//do nothing
order = null;
}
return order;
}
private static void UpdateLimitOrderBook(LimitOrderBookSnapshot data)
{
if (data.BestAskPrice != null)
{
data.BestAskPrice = data.BestAskPrice ?? _lob.BestAskPrice;
data.BestBidPrice = data.BestBidPrice ?? _lob.BestBidPrice;
_lob = data;
System.Console.WriteLine(data.BestBidPrice + "\t\t\t" + data.BestAskPrice);
System.IO.File.AppendAllLines(@"c:\temp\test.csv", new string[] { DateTime.Now.Ticks + "," + data.BestBidPrice + "," + data.BestAskPrice });
}
}
private static void UpdateLimitOrderBook(LimitOrderBookSnapshot data)
{
if (data != null)
{
_currentLimitOrderBook = data;
}
}
public bool PushUpdate(ILimitOrderBook limitOrderBook)
{
var orderBookSnapshot = new LimitOrderBookSnapshot();
orderBookSnapshot.BestAskPrice = limitOrderBook.BestAsk != null ? (double?)limitOrderBook.BestAsk.Price : null;
orderBookSnapshot.BestAskQuantity = limitOrderBook.BestAsk != null ? (double?)limitOrderBook.BestAsk.Quantity : null;
orderBookSnapshot.BestBidPrice = limitOrderBook.BestBid != null ? (double?)limitOrderBook.BestBid.Price : null;
orderBookSnapshot.BestBidQuantity = limitOrderBook.BestBid != null ? (double?)limitOrderBook.BestBid.Quantity : null;
var dataConnections = ConnectionIDs.Where(c => DataListeners.Contains(c.Key)).Select(c => c.Value);
foreach (var connID in dataConnections)
{
_clientsInstance.Value.Client(connID).Update(orderBookSnapshot);
}
return true;
}
